<p>
  The momentum effect states that what was strongly going up in the near past will probably continue to go up shortly. It is one of the most used trading anomalies, but the strategy using only the momentum can suffer significant drawdowns sometimes. 
  
  Some research papers show that the return of momentum strategies depend on the overall market conditions.
  This state of the market can be defined in various ways like the investors' sentiment, prior market returns and so on.
  Therefore, this algorithm will combine the momentum effect with the market state filter to turn off the momentum trading in down market state times.
</p>
